_WithRate#

class rateslib.instruments.protocols._WithRate(*args, **kwargs)#

Bases: Protocol

Protocol to establish a rate pricing metric of any Instrument type.

Attributes Summary

rate_scalar

A scaling quantity associated with the Solver risk calculations.

Methods Summary

`rate`(*[, curves, solver, fx, vol, base, ...])	Calculate some pricing rate metric for the Instrument.
`spread`(*[, curves, solver, fx, vol, base, ...])	Calculate some pricing spread metric for the Instrument.

Attributes Documentation

rate_scalar#: A scaling quantity associated with the Solver risk calculations.

Methods Documentation

rate(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank, metric=NoInput.blank)#

Calculate some pricing rate metric for the Instrument.

Examples

The default metric for an IRS is its fixed ‘rate’.

In [146]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [147]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", curves=[curve], fixed_rate=2.0)

In [148]: irs.rate()       # <- `fixed_rate` on fixed leg to equate value with float leg
Out[148]: 2.87622187684324

Parameters:

curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.
solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.
fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.
vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.
base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.
local (bool, optional (set as False)) – An override flag to return a dict of NPV values indexed by string currency.
settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.
forward (datetime, optional) – The future date to project the PV to using the disc_curve.
metric (str, optional) – The specific calculation to perform and the value to return. See Pricing on each Instrument for details of allowed inputs.

Return type:

float, Dual, Dual2, Variable

spread(*, curves=NoInput.blank, solver=NoInput.blank, fx=NoInput.blank, vol=NoInput.blank, base=NoInput.blank, settlement=NoInput.blank, forward=NoInput.blank)#

Calculate some pricing spread metric for the Instrument.

This calculation may be an alias for rate() with a specific metric and is designated at an Instrument level.

Examples

The ‘spread’ on an IRS is the float leg spread to equate value with the fixed leg.

In [149]: curve = Curve({dt(2000, 1, 1): 1.0, dt(2010, 1, 1): 0.75})

In [150]: irs = IRS(dt(2000, 1, 1), "3Y", spec="usd_irs", curves=[curve], fixed_rate=2.0)

In [151]: irs.spread()       # <- `spread` on float leg to equate value with fixed leg
Out[151]: -87.62218768432399

Parameters:

curves (_Curves, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.
solver (Solver, optional) – A Solver object containing Curve, Smile, Surface, or Cube mappings for pricing.
fx (FXForwards, optional) – The FXForwards object used for forecasting FX rates, if necessary.
vol (_Vol, optional) – Pricing objects. See Pricing on each Instrument for details of allowed inputs.
base (str, optional (set to settlement currency)) – The currency to convert the local settlement NPV to.
local (bool, optional (set as False)) – An override flag to return a dict of NPV values indexed by string currency.
settlement (datetime, optional) – The assumed settlement date of the PV determination. Used only to evaluate ex-dividend status.
forward (datetime, optional) – The future date to project the PV to using the disc_curve.

Return type:

float, Dual, Dual2, Variable

_WithRate#

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